Electronic copy available at: http://ssrn.com/abstract=2033323 Arbitrage-free SVI volatility surfaces Jim Gatheral ∗ , Antoine Jacquier † April 6, 2012 Abstract In this…
1. Extrinsic Value Comparison In-the-money Out of-the-money At-the-money Effects of “the Greeks” Influence extrinsic value Therefore, the influence of all the Greeks…
FOREIGN EXCHANGE DERIVATIVES: Advanced Hedging and Trading Techniques by Dr. A. A. Kotze´ Financial Chaos Theory Pty. Ltd. March 2011 http:\\www.quantonline.co.za Philosophy…
Slide 1 Event-Driven Finance Lecture 4: Take-overs Mike Lipkin Columbia University (IEOR) 2013 Oxford-Man Institute of Quantitative Finance 1 Event-Driven Finance Mike…
Slide 1 Event-Driven Finance Lecture 4: Take-overs Mike Lipkin Columbia University (IEOR) 2013 Oxford-Man Institute of Quantitative Finance Slide 2 Event-Driven FinanceMike…